Study: Buy RCOM when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy RCOM when near 200 SMA and above 200 SMA and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy RCOM at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
117950.9894544.4410415.0524527.53-4741.84-7355.242.21.760.0591994.55
221235.2394544.449861.7321598.63-3642.34-5530.642.712.170.0782359.47
324838.6895455.569781.9823267.61-6017.81-9254.51.632.030.0812759.85
423369.2195455.567067.2210962.94-2991.72-4225.352.362.950.132596.58
517166.9295455.566368.6512500-3669.09-5381.171.742.170.0881907.44
68647.194544.449081.519328.7-5535.78-11603.051.641.310.029960.79
79332.6994544.4414226.5722869.96-9514.72-26870.231.51.20.021036.97
8-8158.6594544.4412175.2623032.41-11371.94-32366.411.070.86-0.016-906.52
98249.2295455.5610641.3826606.88-11239.42-35114.50.951.180.016916.58
1011096.2895455.5613444.4830343.8-14031.53-40458.020.961.20.0181232.92

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.95. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 1.3%, which is not very high, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
RCOM Performance, X=4, Profit Factor:2.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018110 Aug 2018 (-1.29%)
2015116 Nov 2015 (-1.35%)
2014210 Apr 2014 (-1.24%), 17 Jul 2014 (1.39%)
2013111 Mar 2013 (1.68%)
2012116 Jan 2012 (4.86%)
2010217 Jun 2010 (-2.11%), 05 Jul 2010 (4.26%)
2008101 Feb 2008 (5.48%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1423369.2195455.567067.2210962.94-2991.72-4225.352.362.950.132596.58
atrtrail-17.1135950.3894544.4415060.8138496.05-4858.57-8821.953.12.480.0823994.49
atrtrail36.8931894.8994544.4414046.9434440.56-4858.57-8821.952.892.310.0793543.88
atrtrail26.1125118.5894544.4412352.8622960.37-4858.57-8821.952.542.030.0752790.95
200trail-12.259405.1612392511508.4315989.58-2791.12-3640.14.121.370.033783.76
200nil31.253013.941239259378.0210146.69-2791.12-3640.13.361.120.014251.16
200trail31.253013.941239259378.0210146.69-2791.12-3640.13.361.120.014251.16
atrnil39.67-10883.5592722.2230951.7634440.56-10398.15-15438.82.980.85-0.02-1209.28
200nil21.25-6364.081239256252.016764.46-2791.12-3640.12.240.75-0.038-530.34
200trail21.25-6364.081239256252.016764.46-2791.12-3640.12.240.75-0.038-530.34
atrnil28.89-31518.0592722.2220634.522960.37-10398.15-15438.81.980.57-0.076-3502.01

In the table above, row 1 shows the best exit criterion. Profit factor is 2.95. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 1.3%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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